Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0018 |
| Annualized Std Dev | 0.2180 |
| Annualized Sharpe (Rf=0%) | -0.0083 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4230.0000 |
| NAs | 1.0000 |
| Minimum | -0.2068 |
| Quartile 1 | -0.0050 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0057 |
| Maximum | 0.1291 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0002 |
| Stdev | 0.0137 |
| Skewness | -0.8070 |
| Kurtosis | 27.6121 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0101 |
| Gain Deviation | 0.0101 |
| Loss Deviation | 0.0120 |
| Downside Deviation (MAR=210%) | 0.0146 |
| Downside Deviation (Rf=0%) | 0.0101 |
| Downside Deviation (0%) | 0.0101 |
| Maximum Drawdown | 0.5645 |
| Historical VaR (95%) | -0.0188 |
| Historical ES (95%) | -0.0333 |
| Modified VaR (95%) | -0.0178 |
| Modified ES (95%) | -0.0178 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2013-04-30 | 2020-03-23 | NA | -0.5645 | 1987 | 1736 | NA |
| 2007-05-21 | 2009-03-09 | 2013-04-24 | -0.5446 | 1493 | 454 | 1039 |
| 2005-09-28 | 2005-12-14 | 2006-10-19 | -0.1330 | 267 | 55 | 212 |
| 2004-06-15 | 2004-07-27 | 2005-02-07 | -0.1004 | 165 | 30 | 135 |
| 2005-02-08 | 2005-03-23 | 2005-07-12 | -0.0969 | 107 | 31 | 76 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | NA | NA | NA | 0 | 1 | 0.6 | 2.8 | 0.7 | -1.5 | 2.3 | 0.5 | 6.5 |
| 2005 | 0.6 | 0.4 | 0 | 0.7 | 2.6 | 0.1 | -1.4 | 0.4 | -0.6 | -0.1 | 0.6 | -0.4 | 2.8 |
| 2006 | -0.4 | 0.1 | -0.5 | 0.6 | 0.1 | 0.5 | 0.5 | 0.9 | 0.6 | -1.5 | 0.5 | 0.2 | 1.5 |
| 2007 | -0.4 | -1.6 | 0.2 | 0 | 0 | 0.2 | 0 | 1 | 1.3 | -2.7 | 0.2 | 0.7 | -1.2 |
| 2008 | 3.5 | -0.9 | 1.4 | 0.9 | 0.5 | -1.7 | -0.9 | 0.1 | 0.5 | 8.1 | -0.5 | -0.6 | 10.5 |
| 2009 | 0 | -2.5 | 0.4 | 1 | 0.7 | 0.5 | 0.5 | 0 | 1 | -5.4 | 2.9 | -3.7 | -4.9 |
| 2010 | -2.1 | -0.3 | 0.1 | -0.3 | -0.3 | -0.3 | -0.7 | 1.9 | 0 | 0.4 | 1.9 | 1.2 | 1.5 |
| 2011 | 0.6 | -1.4 | 0.5 | 0.7 | -0.4 | 0.9 | 0.3 | 0.6 | -0.6 | 1.2 | 0.8 | -0.8 | 2.6 |
| 2012 | 0.1 | -0.7 | 0.9 | -0.7 | -0.6 | 1.4 | 0.7 | 0.3 | 0.2 | 0.9 | 0.2 | -0.2 | 2.6 |
| 2013 | 0.1 | 0.4 | -0.2 | -1.9 | -1.3 | -0.3 | 0.8 | 0.2 | 0.3 | 0 | 0.3 | 0.7 | -1 |
| 2014 | 0.3 | 0.3 | -0.2 | 0.6 | 0.6 | 0.5 | 0.3 | -0.1 | -0.5 | 0.7 | -0.7 | -0.4 | 1.3 |
| 2015 | -0.8 | -0.5 | 0.1 | 0.4 | -0.2 | -0.5 | 0.2 | -2.3 | -0.2 | 0.9 | 0.4 | -0.7 | -3.2 |
| 2016 | 1.6 | 0 | 0.3 | 0.1 | -0.6 | 0.5 | -0.6 | 0.4 | 0.2 | -1.4 | -2.4 | -0.1 | -2 |
| 2017 | -0.6 | -0.2 | 1 | 0 | 1 | 0.3 | 0.7 | 0.2 | 0.4 | 0.1 | -0.2 | 0.8 | 3.3 |
| 2018 | 0.4 | 0.4 | 1.1 | -0.3 | -1 | 0.5 | -0.7 | 1 | 1.2 | 0.8 | 0.1 | 0.2 | 3.8 |
| 2019 | -0.2 | -0.7 | -0.1 | -0.9 | -0.5 | -0.2 | 0.1 | 1.5 | -0.2 | 0.6 | -0.8 | -0.5 | -1.7 |
| 2020 | 1.7 | -4 | -7 | 0.9 | 0.7 | 0.6 | -0.9 | 0.4 | 0.5 | -1.4 | 1.6 | 0.4 | -6.8 |
| 2021 | -4.2 | 0.6 | 0.8 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -2.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2004-05-26 20.0 SPY 112. 0.0035 0.0272 -1.80e-2 -0.0235 0.173 -0.147 -0.158 <NA> NA NA NA
2 2004-05-27 20 SPY 113. 0.0056 0.0296 4.00e-4 -0.0187 0.183 -0.142 -0.139 <NA> NA NA NA
3 2004-05-28 20.0 SPY 113. -0.0001 0.0278 9.20e-3 -0.0284 0.164 -0.127 -0.125 <NA> NA NA NA
4 2004-06-01 20 SPY 113. -0.0013 0.0221 1.58e-2 -0.024 0.158 -0.130 -0.136 <NA> NA NA NA
5 2004-06-02 20 SPY 113. 0.0037 0.0114 8.70e-3 -0.0221 0.157 -0.117 -0.12 <NA> NA NA NA
6 2004-06-03 20 SPY 112. -0.0092 -0.0013 3.00e-4 -0.0336 0.130 -0.118 -0.139 <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
